HedgeEA - page 55

cv71co
45
cv71co  
bodshyipmonitor:
hi cv71co,

glad to see you in this forum. I saw you in FFS forum but didn't reply there because I think its wasn't too good to bring such things in there. Digs actually bring out very good points in there, just abit sad that people there doesn't care too much about facts.

It would be good if we can invite him over. He really have some stuff which we could look into.

cv71co, diversification is a good suggestion. maybe we could look more into it.

I am using Bollinger Bands for my entry, maybe I should look into using Stochastic way as well.

The point you made on grabbing opportunities when they are negatively related as supposed to be positively correlated is true but I try out a few times and it wasn't everytime come out to be profitable. Lot sizes must be very precise to take advantage of this situation I guess.

my 2 pips.

Digs actually lead me to this forum. He also had a thread somewhere here under the expert analysis section. His works are commendable. Unfortunately the FFS admin is unreceptive to it. I'm out of FFS. Won't be paying since I now got my own calculator. I've tested my calculations against theirs. Not much difference, I would say.

And regarding spotting of opportunities on correlated pairs, I believe that as long as the hedge is not broken, opportunities will be there. I've also included a bias function inside my calculator to allow one to take advantage of swings in a particular currency pair within the hedge.

I've also got Bollinger bands on my screen. It comes with the WSS indicator that I'm using. It tells me if the currency pair is in an up or down trend market.

jlpi
360
jlpi  
bodshyipmonitor:
After experiencing a couple weeks of drawndown from HedgeEA, I went to do more research.

Buying GBPJPY and Selling CHFJPY is actually buying GBPCHF, so if GBPCHF having a downtrend, most probably we will having a big drawndown.

Numerous ways has been suggested to reduce the drawndown by having a trio (mentioned in kelisk forum) by buying GBPJPY, selling CHFJPY and selling GBPUSD.

Is trio a better way? Is there any other ways to go around this?

Just want to hear more people views regarding on this issue.

Yes, I mentioned 2 months ago that it was not a hedge but it seems that at that time everybody was too excited to listen.

It was just a matter of time and wait that GBPCHF goes down...

With a trio you can get a real hedging like GBPJPY, JPYUSD and GBPUSD, but for that you have to be very accurate to calculate the lot size and have an automatic software to notice any discrepancies and enter at that time. I am afraid that his kind of game is very difficult for a retail trader because the spread you get is probably bigger than the discrepencies you will get.

Here people were mostly interested in the carry trade of GBPJPY because of the swap rate. I am not sure if GBPUSD will help because GBPCHF and GBPUSD are not so much correlated and in that case you will trade USDCHF and it is not probably much better than GBPCHF.

So, there is no miracle solution:either you trade a real hedge and you need to have the appropriate tools, or you trade a craay trade and then you have to face big drawdowns.

bodshyipmonitor
138
bodshyipmonitor  

so what should we do now?

Definately not possible to open a trio and still able to benefit from the interest rates.

CashGrabs from trio? Spread will kill it all..

Guess everything is calculated properly with the broker, definately can't gain anything from an "impeccable hedge"

cv71co
45
cv71co  
bodshyipmonitor:
Definately not possible to open a trio and still able to benefit from the interest rates.

CashGrabs from trio? Spread will kill it all..

Guess everything is calculated properly with the broker, definately can't gain anything from an "impeccable hedge"

Previously I've tested with the trio combo using the FFS calculator. My sense is that its more difficult to close the trade as it involves 3 components. Also, I don't think its going to add more "stability" to the hedge. I would rather go for a dual hedge config such as EURUSD/USDCHF or EURJPY/CHFJPY which is rated high on correlation all around the seasons.

bodshyipmonitor
138
bodshyipmonitor  
cv71co:
Previously I've tested with the trio combo using the FFS calculator. My sense is that its more difficult to close the trade as it involves 3 components. Also, I don't think its going to add more "stability" to the hedge. I would rather go for a dual hedge config such as EURUSD/USDCHF or EURJPY/CHFJPY which is rated high on correlation all around the seasons.

Alright, I will take alook at EURUSD/USDCHF, whats yours ratio for this 2 pairs?

cv71co
45
cv71co  
bodshyipmonitor:
Alright, I will take alook at EURUSD/USDCHF, whats yours ratio for this 2 pairs?

Based on my calculation, its 0.94.

cv71co
45
cv71co  

BTW, if you refer to my Hedge Trade Calculator, you may notice a bias function there. This is to allow you to make adjustments to compensate for any differences in the pip cost between the two pairs of currency in hedge.

For instance, if I'm looking at GBPJPY/CHFJPY, for a trade of 2% margin out of $5000 balance, the pip cost would be $3.21/$1.23. There is gross imbalance between the pip cost of the two currency pairs i.e. GBPJPY is 2.6 times more costly than CHFJPY per pip! In good situations, if GBPJPY were to increase against CHFJPY, the potential for large cashgraps would be terrific! However, if the opposite were to happen, if GBPJPY were to decline against CHFJPY, the potential for damages are equally great i.e. the simultaneous increase of CHFJPY is unlikely to provide much protection against the decline of GBPJPY.

Therefore, to compensate against such gross imbalance, one can adjust the bias such that the pip cost between both currency pairs in the hedge are more or less equal, while maintaining constant margin. In doing so, if GBPJPY were to decline against CHFJPY, a corresponding rise of the latter can provide much better hedge against the decline of the former.

With the bias function in place, one can choose to to trade either more agressively or conservatively. Hence, provided that the correlation between 2 currency pairs is strong (0.80 and above), there is some degree of flexibility that one can control in a hedge pair.

bodshyipmonitor
138
bodshyipmonitor  
cv71co:
BTW, if you refer to my Hedge Trade Calculator, you may notice a bias function there. This is to allow you to make adjustments to compensate for any differences in the pip cost between the two pairs of currency in hedge.

For instance, if I'm looking at GBPJPY/CHFJPY, for a trade of 2% margin out of $5000 balance, the pip cost would be $3.21/$1.23. There is gross imbalance between the pip cost of the two currency pairs i.e. GBPJPY is 2.6 times more costly than CHFJPY per pip! In good situations, if GBPJPY were to increase against CHFJPY, the potential for large cashgraps would be terrific! However, if the opposite were to happen, if GBPJPY were to decline against CHFJPY, the potential for damages are equally great i.e. the simultaneous increase of CHFJPY is unlikely to provide much protection against the decline of GBPJPY.

Therefore, to compensate against such gross imbalance, one can adjust the bias such that the pip cost between both currency pairs in the hedge are more or less equal, while maintaining constant margin. In doing so, if GBPJPY were to decline against CHFJPY, a corresponding rise of the latter can provide much better hedge against the decline of the former.

With the bias function in place, one can choose to to trade either more agressively or conservatively. Hence, provided that the correlation between 2 currency pairs is strong (0.80 and above), there is some degree of flexibility that one can control in a hedge pair.

cv71co,

I am not too sure how you calculate the Pip Cost. Maybe we are testing on different brokers. From what I got from NF and FXDD, the pip cost for GBPJPY and CHFJPY is the same. the ratio should be 1.

The Bias you mention about sound like the range ratio that we are talking about few weeks back.

The AutoRatio function in the HedgeEA actually accounts for that. Current the Ratio is about 2.6.

Which means buy 0.1 lot of GBPJPY and sell 0.26 lots of CHFJPY.

Another question, do you look at correlation for entry? If yes, on which timeframe and period you think its suitable?

Nicholishen
1016
Nicholishen  

Can someone check out this new indicator and provide some feedback on whether or not it would benefit this ea?

https://www.mql5.com/en/forum/176231

cv71co
45
cv71co  
bodshyipmonitor:
cv71co,

I am not too sure how you calculate the Pip Cost. Maybe we are testing on different brokers. From what I got from NF and FXDD, the pip cost for GBPJPY and CHFJPY is the same. the ratio should be 1.

The Bias you mention about sound like the range ratio that we are talking about few weeks back.

The AutoRatio function in the HedgeEA actually accounts for that. Current the Ratio is about 2.6.

Which means buy 0.1 lot of GBPJPY and sell 0.26 lots of CHFJPY.

Another question, do you look at correlation for entry? If yes, on which timeframe and period you think its suitable?

Hello,

The ratio between GBPJPY and CHFJPY should be correct. The are not the same. Check this: https://www.mql5.com/en/forum/175357/page20

On second thoughts, are you referring to EURUSD/USDCHF? They are close enough, but not the same as well. Check it here: http://www.1world-forex.com/calc.htm

I think Bias and AutoRatio function is the same thing here. I did not go thru the previous posts in detail, but I suppose the idea is the same.

On how I check for entry... They are 3 indicators that I look at:

1) CCI

2) RSI

3) Stochastic

Reason is because these are the indicators that tells me whether the current price is overbought or undersell.

I would only look at the 4hr time frame. This is to get a macro view on how the current price compare against the previous prices up to 20 days ago. I don't think the 30 min or 1hr time frame is good for timing entry because it does not give a sufficient macro view.